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Linkages between Shanghai and Hong Kong stock indices

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Linkages between Shanghai and Hong Kong stock indices. / Paya, I; Zhang, S; Peel, D.
In: Applied Financial Economics, Vol. 19, No. 23, 2009, p. 1847-1857.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Paya, I, Zhang, S & Peel, D 2009, 'Linkages between Shanghai and Hong Kong stock indices', Applied Financial Economics, vol. 19, no. 23, pp. 1847-1857. https://doi.org/10.1080/09603100903085066

APA

Paya, I., Zhang, S., & Peel, D. (2009). Linkages between Shanghai and Hong Kong stock indices. Applied Financial Economics, 19(23), 1847-1857. https://doi.org/10.1080/09603100903085066

Vancouver

Paya I, Zhang S, Peel D. Linkages between Shanghai and Hong Kong stock indices. Applied Financial Economics. 2009;19(23):1847-1857. doi: 10.1080/09603100903085066

Author

Paya, I ; Zhang, S ; Peel, D. / Linkages between Shanghai and Hong Kong stock indices. In: Applied Financial Economics. 2009 ; Vol. 19, No. 23. pp. 1847-1857.

Bibtex

@article{6d51ecf1726b41d18b27e87cd648ddab,
title = "Linkages between Shanghai and Hong Kong stock indices",
abstract = "This article examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MVGARCH) framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time-varying ones which capture the dynamics of the linkage. The result shows significant tail dependence of the returns in the two markets.",
author = "I Paya and S Zhang and D Peel",
year = "2009",
doi = "10.1080/09603100903085066",
language = "English",
volume = "19",
pages = "1847--1857",
journal = "Applied Financial Economics",
issn = "0960-3107",
publisher = "Routledge",
number = "23",

}

RIS

TY - JOUR

T1 - Linkages between Shanghai and Hong Kong stock indices

AU - Paya, I

AU - Zhang, S

AU - Peel, D

PY - 2009

Y1 - 2009

N2 - This article examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MVGARCH) framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time-varying ones which capture the dynamics of the linkage. The result shows significant tail dependence of the returns in the two markets.

AB - This article examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MVGARCH) framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time-varying ones which capture the dynamics of the linkage. The result shows significant tail dependence of the returns in the two markets.

U2 - 10.1080/09603100903085066

DO - 10.1080/09603100903085066

M3 - Journal article

VL - 19

SP - 1847

EP - 1857

JO - Applied Financial Economics

JF - Applied Financial Economics

SN - 0960-3107

IS - 23

ER -